Gaussian Stochastic Volatility Models
Author | : Archil Gulisashvili |
Publisher | : |
Total Pages | : 40 |
Release | : 2019 |
ISBN-10 | : OCLC:1304193205 |
ISBN-13 | : |
Rating | : 4/5 (05 Downloads) |
Download or read book Gaussian Stochastic Volatility Models written by Archil Gulisashvili and published by . This book was released on 2019 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the implied volatility. In addition, we prove that if the volatility function in an uncorrelated Gaussian model grows faster than linearly, then, for the asset price process, all the moments of order greater than one are infinite. Similar moment explosion results are obtained for correlated models.